DSGE Model-Based Forecasting of Non-modelled Variables

We thank seminar participants at the Board of Governors, the FRB Philadelphia, the University of Richmond, and Texas A&M University for helpful comments. This research was conducted while Schorfheide was visiting the FRB Philadelphia, for whose hospitality he is thankful. Schorfheide gratefully acknowledges financial support from the Alfred P. Sloan Foundation and the National Science Foundation (Grant SES 0617803). The views expressed in this paper do not necessarily reflect those of the Federal Reserve Bank of Philadelphia, the Federal Reserve System, or the National Bureau of Economic Research.